Signature | Description | Parameters |
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#include <DataFrame/DataFrameStatsVisitors.h> template<typename T, typename I = unsigned long> struct EntropyVisitor; // ------------------------------------- template<typename T, typename I = unsigned long> using ent_v = EntropyVisitor<T, I>; |
This is a “single action visitor”, meaning it is passed the whole data vector in one call and you must use the single_act_visit() interface. This visitor calculates the rolling values of information entropy In information theory, the entropy of a random variable is the average level of "information", "surprise", or "uncertainty" inherent in the variable's possible outcomes. The concept of information entropy was introduced by Claude Shannon in his 1948 paper. A die has higher entropy (p=1/6) versus a coin (p=1/2). explicit EntropyVisitor(std::size_t roll_count, T log_base = 2); |
T: Column data type. I: Index type. |
static void test_EntropyVisitor() { std::cout << "\nTesting EntropyVisitor{ } ..." << std::endl; std::vector<unsigned long> idx = { 123450, 123451, 123452, 123453, 123454, 123455, 123456, 123457, 123458, 123459, 123460, 123461, 123462, 123466, 123467, 123468, 123469, 123470, 123471, 123472, 123473, 22, 23, 24, 25, 26, 27, 28 }; std::vector<double> close = { 1.80, 2.80, 1.90, 14.00, 1.10, 6.00, 13.00, 8.00, 9.00, 2.80, 1.90, 4.30, 20.00, 1.85, 3.00, 34.00, 67.00, 23.00, 87.00, 9.00, 45.00, 1.00, 11.00, 456.00, 34.00, 7.00, 7778.00, 5.00 }; MyDataFrame df; df.load_data(std::move(idx), std::make_pair("close", close)); EntropyVisitor<double> e_v (5); df.single_act_visit<double>("close", e_v); assert(e_v.get_result().size() == 28); assert(std::isnan(e_v.get_result()[0])); assert(std::isnan(e_v.get_result()[7])); assert(std::abs(e_v.get_result()[8] - 2.18974) < 0.00001); assert(std::abs(e_v.get_result()[10] - 1.98477) < 0.00001); assert(std::abs(e_v.get_result()[14] - 1.7154) < 0.0001); assert(std::abs(e_v.get_result()[27] - 0.596666) < 0.00001); assert(std::abs(e_v.get_result()[25] - 0.822228) < 0.00001); assert(std::abs(e_v.get_result()[22] - 1.49397) < 0.0001); }